Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0868 |
| Annualized Std Dev | 0.2471 |
| Annualized Sharpe (Rf=0%) | 0.3514 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3351.0000 |
| NAs | 1.0000 |
| Minimum | -0.1566 |
| Quartile 1 | -0.0061 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1293 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | -0.3999 |
| Kurtosis | 10.6363 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0109 |
| Loss Deviation | 0.0125 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.6566 |
| Historical VaR (95%) | -0.0235 |
| Historical ES (95%) | -0.0381 |
| Modified VaR (95%) | -0.0235 |
| Modified ES (95%) | -0.0437 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-10 | 2009-03-09 | 2011-02-09 | -0.6566 | 799 | 315 | 484 |
| 2020-02-20 | 2020-03-18 | 2020-11-16 | -0.4954 | 189 | 20 | 169 |
| 2011-07-08 | 2011-10-03 | 2012-03-13 | -0.2403 | 172 | 61 | 111 |
| 2018-01-25 | 2018-12-24 | 2019-12-19 | -0.2291 | 480 | 231 | 249 |
| 2015-03-23 | 2016-02-11 | 2017-09-12 | -0.2086 | 625 | 226 | 399 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.1 | 0.2 | -1.3 | 0.6 | -0.4 | -1 | 3.6 | -0.9 | 0.9 |
| 2008 | 4.6 | -3.2 | 3.9 | 2.1 | 0 | -1.1 | 0.4 | -0.3 | 0.2 | 4.3 | -4.6 | 3.8 | 10 |
| 2009 | -4 | -3.5 | 1.2 | -0.9 | 5.5 | 1.8 | 0.7 | -2.6 | -3.5 | -2.6 | 1.7 | -1.1 | -7.4 |
| 2010 | 1.3 | 2.2 | 0.9 | -2.6 | -2.5 | 1 | 0.8 | 3.7 | 0.1 | -0.2 | 1.8 | -0.4 | 6 |
| 2011 | 1.3 | -1.6 | 0.8 | 0.4 | -2.4 | 1.8 | -0.4 | -1.7 | -3.3 | -2.2 | -0.1 | -0.6 | -7.8 |
| 2012 | 1.5 | 0.8 | 0.1 | 0.5 | -3.5 | 2.5 | -0.8 | 0.4 | 0.3 | 1.9 | 0 | 2.1 | 5.8 |
| 2013 | 0.7 | 0.1 | -1.1 | -0.7 | -0.5 | 1.3 | 1.7 | -0.8 | 1.2 | 0 | 0 | 0.4 | 2.2 |
| 2014 | -0.4 | -0.2 | 1.6 | 0.6 | 0.2 | 0.9 | -0.2 | 0 | -1.6 | 0.8 | -1.3 | -0.4 | -0.2 |
| 2015 | -1.9 | 0.1 | -0.3 | 1.4 | 0.3 | 0.9 | 0.4 | -2.6 | 0.1 | 0.2 | 0.9 | -0.8 | -1.6 |
| 2016 | 0.5 | 2.1 | 0.2 | -0.6 | 0.3 | 0.8 | -0.2 | 0 | 1 | -1 | 0.1 | -0.6 | 2.6 |
| 2017 | -0.5 | 0.7 | -0.2 | 0 | 1.6 | 0.4 | 0.3 | 0.8 | 0.2 | 0.4 | 0 | -0.7 | 3 |
| 2018 | -0.2 | -0.9 | 1.4 | -0.1 | 1 | -0.2 | -1.2 | 0.6 | -0.6 | 1.8 | 0 | 0.7 | 2.2 |
| 2019 | -0.1 | 0.7 | 1.1 | -0.9 | -1.3 | 0.4 | -2.3 | -0.3 | -1.1 | 1 | -0.8 | 0.2 | -3.7 |
| 2020 | -2.2 | -0.5 | -6.7 | -4.8 | 2.6 | 0 | -0.5 | 1.3 | 2 | -1.6 | 1.3 | -0.5 | -9.6 |
| 2021 | 1.8 | 3 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-10 20.0 SPY 150. -1.05e-2 -0.0051 0.0386 0.0314 0.128 0.360 0.372 GLD 66 -2.15e-2 -0.0221
2 2007-05-15 19.8 SPY 151. 3.00e-4 -0.00120 0.0264 0.0409 0.165 0.363 0.396 GLD 66.5 3.90e-3 -0.0197
3 2007-05-22 20.3 SPY 152. -8.00e-4 0.0123 0.0294 0.0441 0.199 0.395 0.389 GLD 65.2 -6.90e-3 -0.0198
4 2007-05-24 20.1 SPY 151. -9.10e-3 -0.0016 0.0106 0.0396 0.207 0.376 0.387 GLD 64.8 -1.21e-2 -0.00480
5 2007-05-29 20.1 SPY 152. 3.60e-3 -0.002 0.0181 0.0913 0.192 0.361 0.401 GLD 65.1 2.00e-3 -0.0091
6 2007-06-06 20.3 SPY 152. -1.07e-2 -0.0107 0.0059 0.088 0.194 0.355 0.451 GLD 66.4 6.00e-4 0.0261
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
